Reduction of the two-step problem of stochastic optimal control with bilinear model to the problem of mixed integer linear programming

DOI10.1134/S0005117916120079zbMath1357.93103MaRDI QIDQ517339

A. N. Ignatov, A. I. Kibzun

Publication date: 23 March 2017

Published in: Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

stochastic optimal controlmixed integer linear programmingbilinear modeldiscretization of probabilistic measure

Mathematics Subject Classification ID

Mixed integer programming (90C11) Estimation and detection in stochastic control theory (93E10) Transformations (93B17) Optimal stochastic control (93E20)

Related Items (7)

Bilateral estimation of the Bellman function in the problems of optimal stochastic control of discrete systems by the probabilistic performance criterion ⋮ Application of the Smooth Approximation of the Probability Function in Some Applied Stochastic Programming Problems ⋮ Optimal control of a discrete-time stochastic system with a probabilistic criterion and a non-fixed terminal time ⋮ On the construction of positional control in a multistep portfolio optimization problem with probabilistic criterion ⋮ On the existence of optimal strategies in the control problem for a stochastic discrete time system with respect to the probability criterion ⋮ On optimal retention of the trajectory of discrete stochastic system in tube ⋮ Refined estimation of the Bellman function for stochastic optimal control problems with probabilistic performance criterion

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